public override void calculate()
{
if (!(arguments_.settlementType == Settlement.Type.Physical))
{
throw new ApplicationException("cash-settled swaptions not priced with Lfm engine");
}
double basisPoint = 1.0e-4;
VanillaSwap swap = arguments_.swap;
IPricingEngine pe = new DiscountingSwapEngine(discountCurve_);
swap.setPricingEngine(pe);
double correction = swap.spread *
Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
double fixedRate = swap.fixedRate - correction;
double fairRate = swap.fairRate() - correction;
SwaptionVolatilityMatrix volatility =
model_.getSwaptionVolatilityMatrix();
Date referenceDate = volatility.referenceDate();
DayCounter dayCounter = volatility.dayCounter();
double exercise = dayCounter.yearFraction(referenceDate,
arguments_.exercise.date(0));
double swapLength =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.Last())
- dayCounter.yearFraction(referenceDate,
arguments_.fixedResetDates[0]);
Option.Type w = arguments_.type == VanillaSwap.Type.Payer ?
Option.Type.Call : Option.Type.Put;
double vol = volatility.volatility(exercise, swapLength,
fairRate, true);
results_.value = (swap.fixedLegBPS() / basisPoint) *
Utils.blackFormula(w, fixedRate, fairRate, vol * Math.Sqrt(exercise));
}
public override void calculate()
{
Utils.QL_REQUIRE(arguments_.settlementMethod != Settlement.Method.ParYieldCurve, () =>
"cash-settled (ParYieldCurve) swaptions not priced with Lfm engine");
VanillaSwap swap = arguments_.swap;
IPricingEngine pe = new DiscountingSwapEngine(discountCurve_);
swap.setPricingEngine(pe);
double correction = swap.spread *
Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
double fixedRate = swap.fixedRate - correction;
double fairRate = swap.fairRate() - correction;
SwaptionVolatilityMatrix volatility =
model_.link.getSwaptionVolatilityMatrix();
Date referenceDate = volatility.referenceDate();
DayCounter dayCounter = volatility.dayCounter();
double exercise = dayCounter.yearFraction(referenceDate,
arguments_.exercise.date(0));
double swapLength =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.Last())
- dayCounter.yearFraction(referenceDate,
arguments_.fixedResetDates[0]);
Option.Type w = arguments_.type == VanillaSwap.Type.Payer ?
Option.Type.Call : Option.Type.Put;
double vol = volatility.volatility(exercise, swapLength,
fairRate, true);
results_.value = (swap.fixedLegBPS() / Const.BASIS_POINT) *
Utils.blackFormula(w, fixedRate, fairRate, vol * Math.Sqrt(exercise));
}